ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY

DOI10.1111/j.1467-9892.1994.tb00217.xzbMath0807.62070OpenAlexW2019245901MaRDI QIDQ4319856

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Publication date: 15 January 1995

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00217.x

zbMATH Keywords

simulation results model diagnostic checking conditional heteroskedastic time series models squared residual autocorrelations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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